Proto: safer Lwt/exception entangling

The following discussion from !2329 (merged) should be addressed:

• @mbouaziz started a discussion: (+2 comments)

  While we're at it, I suggest we move the call to return outside try ... with, Lwt and exceptions don't mix well.

  Same remark for src/proto_alpha/lib_client_commands/client_proto_programs_commands.ml